EUM vs. DFAE

Last updated Jun 26, 2026

EUM (ProShares Short MSCI Emerging Markets) and DFAE (Dimensional Emerging Core Equity Market ETF) are both exchange-traded funds - EUM is a Inverse Equities fund tracking the MSCI Emerging Markets Index (-100%), while DFAE is a Emerging Markets Equities fund actively managed by Dimensional. EUM is passively managed, while DFAE is actively managed. Over the past 5 years, EUM returned -5.11%/yr vs 8.58%/yr for DFAE. At a correlation of -0.98, they often move in opposite directions. EUM charges 0.95%/yr vs 0.35%/yr for DFAE.

Performance

EUM vs. DFAE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares Short MSCI Emerging Markets (EUM) and Dimensional Emerging Core Equity Market ETF (DFAE). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, EUM achieves a -21.23% return, which is significantly lower than DFAE's 23.20% return.

EUM

• 1D: -1.02%
• 1M: -0.61%
• YTD: -21.23%
• 6M: -21.58%
• 1Y: -30.32%
• 3Y*: -15.89%
• 5Y*: -5.11%
• 10Y*: -10.61%

DFAE

• 1D: 0.76%
• 1M: -1.10%
• YTD: 23.20%
• 6M: 23.61%
• 1Y: 41.53%
• 3Y*: 22.45%
• 5Y*: 8.58%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

EUM vs. DFAE - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
EUM ProShares Short MSCI Emerging Markets	-21.23%	-22.61%	-0.83%	-3.89%	21.11%	-1.32%	-5.01%
DFAE Dimensional Emerging Core Equity Market ETF	23.20%	31.48%	7.68%	12.63%	-17.52%	3.53%	5.93%

Correlation

The correlation between EUM and DFAE is -0.98, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.98
Correlation (3Y) Calculated over the trailing 3-year period	-0.98
Correlation (5Y) Calculated over the trailing 5-year period	-0.98
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020	-0.98

The correlation between EUM and DFAE has been stable across timeframes, ranging from -0.98 to -0.98 - a consistent structural relationship.

EUM vs. DFAE - Sectors Allocation Comparison

Sectors	EUM	DFAE
Financial Services	52.0%	15.8%
Basic Materials	-	7.0%
Communication Services	-	5.4%
Consumer Cyclical	-	8.1%
Consumer Defensive	-	2.9%
Energy	-	3.5%
Healthcare	-	3.1%
Industrials	-	9.1%
Real Estate	-	1.4%
Technology	-	41.6%
Utilities	-	2.1%

Return for Risk

EUM vs. DFAE — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

EUM

EUM Risk / Return Rank: 1
EUM Sharpe Ratio Rank: 0
EUM Sortino Ratio Rank: 1
EUM Omega Ratio Rank: 1
EUM Calmar Ratio Rank: 1
EUM Martin Ratio Rank: 0

DFAE

DFAE Risk / Return Rank: 70
DFAE Sharpe Ratio Rank: 70
DFAE Sortino Ratio Rank: 62
DFAE Omega Ratio Rank: 74
DFAE Calmar Ratio Rank: 74
DFAE Martin Ratio Rank: 74

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

EUM vs. DFAE - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares Short MSCI Emerging Markets (EUM) and Dimensional Emerging Core Equity Market ETF (DFAE). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	EUM	DFAE	Difference
Sharpe ratio: Return per unit of total volatility	-1.31	1.94	-3.25
Sortino ratio: Return per unit of downside risk	-1.99	2.50	-4.49
Omega ratio: Gain probability vs. loss probability	0.77	1.37	-0.61
Calmar ratio: Return relative to maximum drawdown	-0.92	3.26	-4.18
Martin ratio: Return relative to average drawdown	-1.84	11.93	-13.77

EUM vs. DFAE - Sharpe Ratio Comparison

The current EUM Sharpe Ratio is -1.31, which is lower than the DFAE Sharpe Ratio of 1.94. The chart below compares the historical Sharpe Ratios of EUM and DFAE, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

EUM vs. DFAE - Drawdown Comparison

The maximum EUM drawdown since its inception was -93.19%, which is greater than DFAE's maximum drawdown of -32.21%. Use the drawdown chart below to compare losses from any high point for EUM and DFAE.

Drawdown Indicators

	EUM	DFAE	Difference
Max Drawdown Largest peak-to-trough decline	-93.19%	-32.21%	-60.98%
Max Drawdown (1Y) Largest decline over 1 year	-33.23%	-12.80%	-20.43%
Max Drawdown (3Y) Largest decline over 3 years	-47.97%	-18.12%	-29.85%
Max Drawdown (5Y) Largest decline over 5 years	-50.87%	-31.73%	-19.14%
Max Drawdown (10Y) Largest decline over 10 years	-67.83%	—	—
Current Drawdown Current decline from peak	-92.89%	-4.50%	-88.39%
Average Drawdown Average peak-to-trough decline	-77.20%	-10.24%	-66.96%
Ulcer Index Depth and duration of drawdowns from previous peaks	16.56%	3.49%	+13.07%

Volatility

EUM vs. DFAE - Volatility Comparison

ProShares Short MSCI Emerging Markets (EUM) and Dimensional Emerging Core Equity Market ETF (DFAE) have volatilities of 11.91% and 11.41%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	EUM	DFAE	Difference
Volatility (1M) Calculated over the trailing 1-month period	11.91%	11.41%	+0.50%
Volatility (6M) Calculated over the trailing 6-month period	21.01%	19.69%	+1.32%
Volatility (1Y) Calculated over the trailing 1-year period	23.14%	21.52%	+1.62%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	19.78%	18.42%	+1.36%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.71%	18.32%	+2.39%

EUM vs. DFAE - Expense Ratio Comparison

EUM has a 0.95% expense ratio, which is higher than DFAE's 0.35% expense ratio.

Dividends

EUM vs. DFAE - Dividend Comparison

EUM's dividend yield for the trailing twelve months is around 4.28%, more than DFAE's 1.76% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018
DFAE Dimensional Emerging Core Equity Market ETF	1.76%	2.20%	2.35%	2.43%	2.85%	1.63%	0.01%	0.00%	0.00%
EUM ProShares Short MSCI Emerging Markets	4.28%	3.98%	4.22%	3.86%	0.82%	0.00%	0.15%	1.35%	0.88%

Frequently Asked Questions

Can I hold both EUM and DFAE in my portfolio?

EUM and DFAE have a correlation of -0.98, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, EUM or DFAE?

EUM has higher volatility (11.91%) compared to DFAE (11.41%). In terms of maximum drawdown, EUM dropped -93.19% vs DFAE's -32.21%.

Which ETF is better, EUM or DFAE?

On 5-year performance, DFAE leads with 8.58% vs -5.11% for EUM. On fees, DFAE is cheaper at 0.35% per year. On volatility, DFAE has been the lower-risk option at 11.41%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, EUM or DFAE?

Over the 5-year period, DFAE has performed better with a 8.58% return vs -5.11%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, EUM or DFAE?

DFAE is cheaper with a 0.35% expense ratio, compared with 0.95% for EUM.

Which ETF pays a higher dividend yield, EUM or DFAE?

EUM has the higher dividend yield at 4.28%, compared with 1.76% for DFAE.

What is the main difference between EUM and DFAE?

EUM is categorized as Inverse Equities, while DFAE is Emerging Markets Equities. They also come from different issuers: ProShares and Dimensional. Their fees differ too: 0.95% for EUM and 0.35% for DFAE.

Which has better risk-adjusted returns?

DFAE currently has the higher Sharpe Ratio (1.94 vs -1.31), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.